Arbitrage Crashes and the Speed of Capital

By Mark L. Mitchell, Todd C. Pulvino. 2012

279 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d2c23e828cf68ca3c7d1155cc9a8b9ab5dcb2dff

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Citations in the corpus

Asset Price Dynamics with Slow-Moving Capital (2010, background): “As suggested by Mitchell and Pulvino (2009), the most plausible explanation is a shortage of capital held during the financial crisis by the major dealer banks.”
Bubbles, Financial Crises, and Systemic Risk (2012, unknown): “onwards, as the tradeable float of internet stocks increased (see Ofek and Richardson (2003)). Chen, Hong, and Stein (2001) also document that high trading volume relative to trend forecasts negative skewness (future crashes), consistent with the heterogeneousbeliefs model put forward in Hong and St”
When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020, unknown): “Theory and evidence for this type of response abound in the literature—Moreira and Savov (2017) for shadow banks, or Chernenko and Sunderam (2016) and Ma, Xiao, and Zeng (2020) for mutual funds, are recent examples—and this idea structures liquidity regulation in practice.”
Credit Default Swaps: A Survey (2014, background): “Nashikkar et al. [2011] find evidence of a liquidity spillover effect from the CDS market to the bond market, whereby CDS liquidity affects both bond liquidity and bond prices.”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “As suggested by Mitchell and Pulvino (2009), the most plausible explanation is a shortage of capital held during the financial crisis by the major dealer banks.”
New Evidence on the Financialization of Commodity Markets (2015, unknown): “For example, Singleton (2013) uses these data on CIT flows and finds a positive relation between lagged investor flows and crude oil futures prices, whereas Brunetti and Reiffen (2011) present evidence that CITs affected risk premia in the three largest agricultural futures markets.”